Semitransparency: It looks great to me. Later, we'll want
to see whether end users like it, and whether the circled
numbers stand out well enough when viewed on their screens
and printed on their printers. But, ultimately, we'll
integrate the code with lmi, and I suppose it'll then be
trivial for us to adjust details like this if necessary.

I had suggested centering the circled numbers over the
controls they correspond to, but centering them on the
controls' northeast corners as you've done here looks
like a more tasteful idea.

Here is a screenshot of using semi-transparent footnotes, it does allow reading the labels underneath them but IMO the visibility of footnotes themselves suffers too much -- but please let me know what do you think.

Annotated screenshots make learning lmi easier for new users,
especially those who use it only occasionally. But if they're
created manually, they rapidly become outdated, and it's a
costly, tedious, error-prone chore to maintain them.

It is simple and effective to use existing contextual-help
information as the annotations.